Professor Jonathan Crook from the University of Edinburgh will present the Department of Statistical Science with a talk entitled, "Stress testing behavioural and macroeconomic risks for credit portfolios".
Abstract: Large banks are required to stress test their credit portfolios annually under Basel II. Stress testing credit portfolios to macroeconomic shocks at account level involves parameterising a model predicting probability of default followed by hypothesising specific shocks or by simulation. Simulation requires that the simulated...
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Meeting ID: 983 6360 1125